I would like to estimate the component GARCH model proposed by Engle & Lee (1999) A long-run and short-run component model of stock return volatility. How can I do it? thanks.
PS: After reading your subject properly 🙂 I'd like to add that these types of GARCH models are currently supported by PROC AUTOREG:
* generalized ARCH (GARCH),
* integrated GARCH (IGARCH),
* exponential GARCH (EGARCH)
* GARCH-in-mean(GARCH-M)
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